First Trust Consumer Discretionary AlphaDEX® Fund

10-Year Study

FXD.US · · US · ETF

Executive Summary: First Trust Consumer Discretionary AlphaDEX® Fund has compounded at 7.5% annually over the last 10 years, with a maximum drawdown of 40.5% and an annualized volatility of 23.4%.

1Y CAGR
+5.5%
3Y CAGR
+10.4%
5Y CAGR
+2.0%
10Y CAGR
+7.5%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
40.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.24
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.32
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
22.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +24.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -21.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.70.9-7.90.3————————-6.1%
20253.4-5.0-8.6-2.28.73.41.86.4-0.6-3.52.71.36.7%
2024-2.47.24.8-9.44.1-1.41.31.63.0-1.68.5-4.110.6%
202314.2-3.5-1.90.6-5.712.24.0-5.2-6.1-6.211.610.723.4%
2022-7.4-1.9-3.2-5.2-2.5-10.910.8-3.3-10.010.78.5-6.6-21.6%
20213.26.34.34.3-0.30.31.01.0-4.44.6-1.92.622.7%
2020-4.1-10.0-31.122.88.54.56.39.7-2.3-0.413.95.513.0%
201910.72.80.64.7-9.27.21.4-4.82.22.52.92.524.2%
20184.6-4.9-1.9-1.20.74.30.13.3-0.7-7.11.6-9.9-11.6%
20171.11.61.30.5-1.11.31.4-1.64.40.47.02.219.8%
2016———-1.5-1.7-0.76.9-0.8-1.2-2.85.3-1.41.7%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 23.4%. The dominant macroeconomic risk driver is VTI.US, accounting for 64.4% of variance. Idiosyncratic stock-specific factors contribute 6.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019846.522276575904
2016-05-019678.79349284194
2016-06-019611.937431649125
2016-07-0110273.248591158766
2016-08-0110193.442653423508
2016-09-0110074.043552479528
2016-10-019793.97923682474
2016-11-0110314.111957569017
2016-12-0110173.181363330781
2017-01-0110282.078052437706
2017-02-0110442.55738375317
2017-03-0110573.419294076824
2017-04-0110630.85726323877
2017-05-0110510.249920225044
2017-06-0110650.715805974913
2017-07-0110800.413900360303
2017-08-0110624.81605289002
2017-09-0111092.126908790116
2017-10-0111141.200125161486
2017-11-0111923.180588816633
2017-12-0112184.501662107361
2018-01-0112743.205187385951
2018-02-0112120.805618635428
2018-03-0111894.151798576751
2018-04-0111746.312538144823
2018-05-0111824.60042815142
2018-06-0112327.786779353311
2018-07-0112342.3166647562
2018-08-0112746.458146804509
2018-09-0112659.37177608486
2018-10-0111765.334605601905
2018-11-0111957.538036389773
2018-12-0110771.447071252203
2019-01-0111919.184095816696
2019-02-0112247.609074827362
2019-03-0112316.323969973635
2019-04-0112892.934262337234
2019-05-0111710.468023408916
2019-06-0112548.895078117495
2019-07-0112730.596097068308
2019-08-0112115.167155643265
2019-09-0112378.161179492105
2019-10-0112684.311131627128
2019-11-0113049.324158955087
2019-12-0113380.320524934708
2020-01-0112837.200224299297
2020-02-0111556.153824705762
2020-03-017967.89174151055
2020-04-019782.702310840408
2020-05-0110610.038322960007
2020-06-0111086.054717875477
2020-07-0111783.024508725677
2020-08-0112922.3657999337
2020-09-0112629.692393961268
2020-10-0112585.173320775875
2020-11-0114330.494480812185
2020-12-0115116.409476335493
2021-01-0115594.74941369279
2021-02-0116584.082804856513
2021-03-0117305.03155370636
2021-04-0118057.270674106134
2021-05-0118006.741371137883
2021-06-0118063.714631811465
2021-07-0118245.167806235146
2021-08-0118429.62609555026
2021-09-0117626.67178878689
2021-10-0118434.76886948817
2021-11-0118088.87085131497
2021-12-0118551.069913843046
2022-01-0117181.573998630658
2022-02-0116846.67408134877
2022-03-0116312.847950480662
2022-04-0115471.477742012436
2022-05-0115079.201816700383
2022-06-0113434.970243166463
2022-07-0114882.661106687774
2022-08-0114393.10620447793
2022-09-0112956.103636189016
2022-10-0114347.502811486354
2022-11-0115573.217920398532
2022-12-0114550.704343165531
2023-01-0116616.86024356921
2023-02-0116030.83185917474
2023-03-0115731.528612101629
2023-04-0115822.42559242587
2023-05-0114922.687997818968
2023-06-0116744.097427683613
2023-07-0117411.294894712544
2023-08-0116498.421540167852
2023-09-0115486.720180430815
2023-10-0114533.417187398345
2023-11-0116212.346994730204
2023-12-0117954.19833138672
2024-01-0117521.926495509364
2024-02-0118776.112744475387
2024-03-0119675.664455686947
2024-04-0117832.07294064433
2024-05-0118560.73585040104
2024-06-0118294.02415864528
2024-07-0118532.202749215416
2024-08-0118822.273787653005
2024-09-0119382.89810801684
2024-10-0119079.72229020735
2024-11-0120702.85609836949
2024-12-0119851.788972777373
2025-01-0120524.46999996902
2025-02-0119492.414408441582
2025-03-0117823.522304458413
2025-04-0117432.516582347893
2025-05-0118947.31135158915
2025-06-0119594.71223701372
2025-07-0119953.002481543328
2025-08-0121228.627282105936
2025-09-0121095.751634999368
2025-10-0120361.4192816846
2025-11-0120913.307082467167
2025-12-0121181.412899688028
2026-01-0121323.9235027867
2026-02-0121525.29718107831
2026-03-0119833.758283428804
2026-04-0119895.71941521084
Annual Return Matrix
YearAnnual Return
20170.1977080941490319
2018-0.11597147179598022
20190.2422026897987828
20200.12974942925810495
20210.2272140380216916
2022-0.2156406929226432
20230.23390578957229735
20240.10569063604880502
20250.06697753682219543
2026-0.06069913704841312
Total Factor Risk
0.23405783458432614
VTI.US Exposure
0.6442555328162194
VEA.US Exposure
0.0031570283584298805
VWO.US Exposure
0.0018218032168658134
QQQ.US Exposure
-0.2919285181671023
VTV.US Exposure
-0.12276571447258389
IJR.US Exposure
0.21490941267604188
QUAL.US Exposure
0.25130900807957873
SHV.US Exposure
0.1650063423565968
TLT.US Exposure
0.04843470130505669
LQD.US Exposure
-0.05572313843762446
HYG.US Exposure
0.09818326456629878
GLD.US Exposure
-0.009217518586019664
USO.US Exposure
-0.0015847752516782911
VNQ.US Exposure
-0.06305908594388007
BTC-USD.CC Exposure
0.002184375747894149
CPER.US Exposure
-0.011209064295652639
VIX.INDX Exposure
-0.010887541993274932
UUP.US Exposure
0.028980760091498414
TIP.US Exposure
0.041097648555530636
Idiosyncratic Exposure
0.0670354793778051
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
23.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Forward P/EForward P/E RatioA valuation metric that compares the current stock price to estimated future earnings per share.Click for full definition →No estimate availableN/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Squeeze RiskShort Squeeze RiskA situation where a sharp rise in the price of a stock forces short sellers to buy shares to cover their positions, further driving up the price.Click for full definition →Low
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$36
Avg Yield on Cost
0.36%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$35.630.36%Solid

Momentum & MacroiPrice momentum indicators: distance from 50/200-Day SMA, 52-Week High proximity, Golden Cross trend signal, RSI momentum gauge, Fibonacci retracement levels, and Beta (market sensitivity).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-5.0%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-4.3%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
11.1% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.58
Market sensitivity coefficient
Trend SignalGolden Cross & Death CrossTechnical chart patterns that occur when a short-term moving average crosses over a long-term moving average.Click for full definition →
✦ Golden Cross
Bullish — 50 SMA above 200 SMA
RSI (14-Day)Relative Strength Index (RSI)A momentum oscillator that measures the speed and change of price movements to identify overbought or oversold conditions.Click for full definition →
53
OversoldNeutralOverbought
Neutral
Fibonacci LevelsFibonacci RetracementTechnical levels based on mathematical ratios that indicate potential support and resistance areas.Click for full definition →
38.2% retracement+0.7%
50.0% retracement+5.0%
61.8% retracement+9.7%
% distance of current price from each 52-week Fibonacci support level.

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Frequently Asked Questions & Methodology

Is First Trust Consumer Discretionary AlphaDEX® Fund a high-risk investment?

First Trust Consumer Discretionary AlphaDEX® Fund (FXD.US) has an annualized volatility of 23.4% and experienced a maximum drawdown of 40.5% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of FXD.US?

Over the past 10 years, FXD.US has generated a Compound Annual Growth Rate (CAGR) of 7.5%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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